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dc.contributor.authorOH, Joonseok
dc.date.accessioned2019-06-04T14:45:06Z
dc.date.available2019-06-04T14:45:06Z
dc.date.issued2019
dc.identifier.issn1725-6704
dc.identifier.urihttp://hdl.handle.net/1814/63144
dc.description.abstractThis paper studies the effects of uncertainty shocks on economic activity, focusing on inflation. Using a VAR, I show that increased uncertainty has negative demand effects, reducing GDP and prices. I then consider standard New Keynesian models with Rotemberg-type and Calvo-type price rigidities. Despite the belief that the two schemes are equivalent, I show that they generate different dynamics in response to uncertainty shocks. In the Rotemberg model, uncertainty shocks decrease output and inflation, in line with the empirical results. By contrast, in the Calvo model, uncertainty shocks decrease output but raise inflation because of firms' precautionary pricing motive.en
dc.format.mimetypeapplication/pdfen
dc.language.isoenen
dc.relation.ispartofseriesEUI ECOen
dc.relation.ispartofseries2019/01en
dc.relation.isreplacedbyhttp://hdl.handle.net/1814/64465
dc.rightsinfo:eu-repo/semantics/openAccessen
dc.subjectUncertainty shocksen
dc.subjectInflationen
dc.subjectRotemberg pricingen
dc.subjectCalvo pricingen
dc.subjectC68en
dc.subjectE31en
dc.subjectE32en
dc.titleThe propagation of uncertainty shocks : Rotemberg vs. Calvoen
dc.typeWorking Paperen


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